Lan Wu

Peking University

No. 38 Xueyuan Road

Haidian District

Beijing, Beijing 100871

China

SCHOLARLY PAPERS

4

DOWNLOADS

366

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants

Number of pages: 77 Posted: 22 Aug 2022
Peking University, Peking University, Peking University, Peking University, Peking University, Peking University, Peking University, Peking University and Peking University
Downloads 136 (304,002)

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Market liquidity, Tick-level data, Bid-ask spread, Aggressive-passive imbalance, Chinese stock market

2.

Optimal Impact Portfolios with General Dependence and Marginals

Number of pages: 80 Posted: 09 Aug 2022 Last Revised: 29 Oct 2022
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University, Peking University and Peking University
Downloads 120 (333,494)

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Impact Investing; Environmental, Social, and Governance (ESG); Portfolio Theory; Copula; Heavy Tail

3.

Information Coefficient: From a New Perspective

Number of pages: 26 Posted: 03 Jun 2019
Yijian Chuan and Lan Wu
Peking University - School of Mathematical Sciences and Peking University
Downloads 109 (356,669)

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Information Coefficient; IC; Active portfolio management; Projected distribution; Directional statistics; Projection transformation

4.

Equity Market Impact Modeling: An Empirical Analysis for the Chinese Market

Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 24 Posted: 31 Aug 2018
Shiyu Han, Lan Wu and Yuan Cheng
Peking University - School of Mathematical Sciences, Peking University and Peking University - School of Mathematical Sciences
Downloads 1 (935,906)
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market impact model, optimal impact, model assessment, empirical analysis, random effect, Chinese stock market